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Estrategia de Cruce EMA/SMA + RSI

Esta estrategia sigue tres medias móviles exponenciales (rápida, media y lenta) junto con un filtro RSI para participar en tendencias emergentes. Se activa una operación cuando la media rápida cruza la media en la dirección de la media lenta predominante, indicando que el impulso está acelerando. Solo se consideran las velas que cierran en la dirección del cruce para evitar señales falsas.

Una salida protectora puede opcionalmente cerrar posiciones después de un número definido por el usuario de barras si permanecen rentables. El RSI actúa como guardia de sobrecompra/sobreventa para salir cuando el impulso se estira demasiado.

Las pruebas retrospectivas muestran que la técnica funciona mejor en pares cripto líquidos durante fases de tendencia donde las medias móviles ofrecen una separación clara.

Detalles

  • Criterios de entrada:
    • Largo: EMA_fast > EMA_medium y EMA_fast(t-1) <= EMA_medium(t-1) y Close > EMA_slow y Close > Open
    • Corto: EMA_fast < EMA_medium y EMA_fast(t-1) >= EMA_medium(t-1) y Close < EMA_slow y Close < Open
  • Largo/Corto: Ambos lados.
  • Criterios de salida:
    • Largo: RSI > 70 o X barras con ganancias y Close > entry
    • Corto: RSI < 30 o X barras con ganancias y Close < entry
  • Stops: Ninguno.
  • Valores predeterminados:
    • EMA_fast = 10
    • EMA_medium = 20
    • EMA_slow = 100
    • RSI_length = 14
    • X bars = 24
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: EMA, RSI
    • Stops: Opcional basado en tiempo
    • Complejidad: Medio
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// EMA/SMA + RSI Strategy.
/// Uses three EMAs for trend and crossover, with RSI for exit signals.
/// Buy on fast EMA crossing above medium EMA when both above slow EMA.
/// Sell on fast EMA crossing below medium EMA when both below slow EMA.
/// </summary>
public class EmaSmaRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _emaALength;
	private readonly StrategyParam<int> _emaBLength;
	private readonly StrategyParam<int> _emaCLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _emaA;
	private ExponentialMovingAverage _emaB;
	private ExponentialMovingAverage _emaC;
	private RelativeStrengthIndex _rsi;

	private decimal _prevEmaA;
	private decimal _prevEmaB;
	private int _cooldownRemaining;

	public EmaSmaRsiStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_emaALength = Param(nameof(EmaALength), 10)
			.SetGreaterThanZero()
			.SetDisplay("EMA A Length", "Fast EMA period", "Moving Averages");

		_emaBLength = Param(nameof(EmaBLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA B Length", "Medium EMA period", "Moving Averages");

		_emaCLength = Param(nameof(EmaCLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA C Length", "Slow EMA period", "Moving Averages");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	public int EmaALength
	{
		get => _emaALength.Value;
		set => _emaALength.Value = value;
	}

	public int EmaBLength
	{
		get => _emaBLength.Value;
		set => _emaBLength.Value = value;
	}

	public int EmaCLength
	{
		get => _emaCLength.Value;
		set => _emaCLength.Value = value;
	}

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_emaA = null;
		_emaB = null;
		_emaC = null;
		_rsi = null;
		_prevEmaA = 0;
		_prevEmaB = 0;
		_cooldownRemaining = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_emaA = new ExponentialMovingAverage { Length = EmaALength };
		_emaB = new ExponentialMovingAverage { Length = EmaBLength };
		_emaC = new ExponentialMovingAverage { Length = EmaCLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_emaA, _emaB, _emaC, _rsi, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _emaA);
			DrawIndicator(area, _emaB);
			DrawIndicator(area, _emaC);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, decimal emaA, decimal emaB, decimal emaC, decimal rsi)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_emaA.IsFormed || !_emaB.IsFormed || !_emaC.IsFormed || !_rsi.IsFormed)
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		// Crossover detection
		var bullishCross = emaA > emaB && _prevEmaA <= _prevEmaB && _prevEmaA > 0;
		var bearishCross = emaA < emaB && _prevEmaA >= _prevEmaB && _prevEmaA > 0;

		// Exit long on RSI overbought
		if (Position > 0 && rsi > 70)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short on RSI oversold
		else if (Position < 0 && rsi < 30)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Buy: fast crosses above medium, both above slow
		else if (bullishCross && emaA > emaC && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: fast crosses below medium, both below slow
		else if (bearishCross && emaA < emaC && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_prevEmaA = emaA;
		_prevEmaB = emaB;
	}
}